search query: @author Attanasio, O. P. / total: 7
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| Author: | Attanasio, O. P. |
| Title: | Risk, time-varying second moments and market efficiency. |
| Journal: | Review of Economic Studies
1991 : MAY, VOL. 58:195, p. 479-494 |
| Index terms: | MARKETS EFFICIENCY |
| Language: | eng |
| Abstract: | Two topics are addressed. First, the consumption and static CAPM (Capital Asset Pricing Model) are nested in a unified framework. Second, the market efficiency is tested for. The first test is based on the idea that different models price risk on the basis of the covariance with different benchmark portfolios. The test of market efficiency is based on the idea that excess returns should be predictable only if risk, and therefore second moments, are predictable. The empirical results show that the static CAPM performs better than the consumption CAPM and that the former model accounts for the effects of dividend yields on excepted returns. |
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